Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152805
Authors: 
Robalo Marques, Carlos
Year of Publication: 
2004
Series/Report no.: 
ECB Working Paper 371
Abstract: 
This paper addresses some issues concerning the definition and measurement of inflation persistence in the context of the univariate approach. First, it is stressed that any estimate of persistence should be seen as conditional on the given assumption for the long run level of inflation and that such long run level should be allowed to vary through time. Second, a non-parametric measure of persistence is suggested which explores the relation between persistence and mean reversion. Third, inflation persistence in the U.S. and the Euro Area is re-evaluated allowing for a time varying mean and it is found that estimates of persistence crucially depend on the function used to proxy the mean of inflation. In particular, the widespread belief that inflation has been more persistent in the sixties and seventies than in the last twenty years is shown to obtain only for the U.S. and for the special case of a constant mean.
Subjects: 
Inflation persistence
mean reversion
time varying mean
univariate approach
JEL: 
E31
C22
E52
Document Type: 
Working Paper

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